Being you are not a U.S citizen or permanent resident, you have no obligation to file. But if you think it will be of benefit to you, then you can file a federal return along with a part year return resident state return for whatever state you were living in before you moved to Canada. There is a reciprocal agreement between the U.S. and Canada you might want to consider if you can deduct any U.S. taxes owed against a Canada tax obligation.
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